Seasonality in the Baltic Stock Markets

Rasa Norvaisiene

Abstract

The purpose of our paper is to investigate the trends of seasonality evidences in the Baltic stock markets and to determine whether trading strategy based on seasonal anomalies allow an investor to earn abnormal profit.In our research, the monthly changes, as well as standard deviations of indexes OMX Vilnius, OMX Riga and OMX Tallinn from the Baltic stock exchanges were analysed for the period of 2003 – 2014. The research of the main seasonal anomalies “Halloween” and “January” in the Baltic stock markets for the period of 2003 – 2014 evidenced that these anomalies exist in all three countries, and especially they displayed during the period of market growth. Disclosed calendar effects in the Baltic countries prove the inefficiency of stock markets in those countries, because stock prices are not random but can be predicted in accordance with certain calendar moments.